GeoBosh/mixAR: Mixture Autoregressive Models

Model time series using mixture autoregressive (MAR) models. Implemented are frequentist (EM) and Bayesian methods for estimation, prediction and model evaluation. See Wong and Li (2002) <doi:10.1111/1467-9868.00222>, Boshnakov (2009) <doi:10.1016/j.spl.2009.04.009>), and the extensive references in the documentation.

Getting started

Package details

AuthorGeorgi N. Boshnakov [aut, cre], Davide Ravagli [aut]
MaintainerGeorgi N. Boshnakov <>
LicenseGPL (>= 2)
URL (website) (devel)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
GeoBosh/mixAR documentation built on April 1, 2021, 10:24 p.m.